Heather Battey, Imperial College London

Statistics seminars
Heather Battey, Imperial College London
''Large numbers of explanatory variables''

The lasso and its variants are powerful methods for regression analysis when there are a small number of study individuals and a large number of potential explanatory variables. There results a single model, while there may be several models equally compatible with the data. I will outline a different approach whose aim is essentially a confidence set of effective simple representations. The method hinges on the ability to make initially a very large number of separate analyses, allowing each explanatory feature to be assessed in combination with many other such features. A probabilistic assessment of the method will be given. (The talk is based on joint work with David R Cox).